【作者】 王欣；

【导师】 张新立；

【作者基本信息】 辽宁师范大学 ， 应用数学， 2014， 硕士

【摘要】 委托代理关系是现实生活中最普遍存在的一种关系，广泛存在于政府、公司和生活交往中，它主要是由于委托人和代理人的利益冲突、信息不对称、代理人的责任有限和害怕风险造成的。在委托代理关系中，一般又分为事前的与事后的信息非对称性，事前的为逆向选择，事后的为道德风险。而事后的道德风险问题又是目前最重要也是最热门的研究课题之一。鉴于此，本文对道德风险问题中的激励机制问题试着做些探究性的工作。（1）针对风险偏好和过度自信对最优激励契约造成的影响，通过引入风险偏好和过度自信两个要素，对传统的道德风险博弈模型进行了改进，建立了基于不同风险偏好且过度自信条件下的隐藏行动的道德风险模型。求出了不同风险偏好和过度自信条件下的均衡解，并对影响最优激励合同的因素进行了对比分析。代理人的过度自信能改进最优激励契约安排，为委托人带来比预期更高的收益。指出了委托人降低自身风险以及提高代理人过度自信度的方法，并且验证出委托人的风险偏好对过度自信的代理人无本质上影响。为不同风险偏好和过度自信条件下的激励契约安排提供了决策理论参考依据，也为目前广为采用的“委托人风险中性，代理人风险规避”这一组合假设条件提供了合理解释。（2）针对项目认知的信息程度对契约激励合同造成的影响，通过把信号参量植入到博弈模型中，建立了风险偏好和过度自信一定条件下的隐藏信息的道德风险模型，求出了模型的均衡解，分析了相关要素对最优激励契约造成的影响，得出过度自信的代理人能根据观测到不同的信号做出比理性时更准确的投资判断。为委托人寻找合适的代理人时提供了一个新的度量标准。更多还原

【Abstract】 Principal-agent relationship is one of the most common in real life, widely exists in thegovernment, companies and life activities. It is mainly due to the conflict of interest betweenprincipal and agent information asymmetry, agent limited liability and risk caused by fear. Inprincipal-agent relationships, it is divided into ex ante and ex post information asymmetry, exante is adverse selection and ex post is moral hazard. However, at present the ex post moralhazard problem is one of the hottest research topics. In view of this, in the paper, the incentivecontract of the moral hazard problem try to do some exploratory work.According to the effect of risk attitude and overconfidence on the optimal incentivecontracts, through two elements of risk attitude and overconfidence, improve the traditionalmoral hazard game model. Establish a moral hazard with hidden action model that owndifferent risk attitude combined with overconfidence. Calculate the equilibrium solution underthe condition of different risk preference and overconfidence. Compare and analyze thefactors that affect the optimal incentive contract. Agent of overconfidence can improve theoptimal incentive contract arrangement and bring higher yields than expected for the principal.Point out the method of principal reduce their risks and improve the overconfidence degree ofagent. And proved that different risk attitude of principal has no effect on overconfidenceagent. For different risk attitude and incentive contract under the condition of overconfidencearrangement provides a reference for decision-making theory. And it also provide areasonable explanation of “principal risk neutral, agent risk aversion” widely used.The degree of project cognitive information can influence the incentive contract.Through the signal parameters into the game model, establish a moral hazard with hiddeninformation model that own certain risk attitude combined with overconfidence. Calculate theequilibrium solution of the model. Analyze the relevant factors on the impact of the optimalincentive contracts, the overconfident agent can make more accurate investment judgementthan unbiased agent. Provide a new metric for the principal to find the right agent.更多还原